Posted By: Zheka
Rolls simulation close to reality - 09/01/21 18:04
It would be very nice to have position rolling costs calculated close to real life.
The "charging time" is known - it is 1700ET, with 3x charge on Wed.
Current 12-hour charge is too arbitrary and not useful in tuning short-term strategies.
Thank you.
Posted By: jcl
Re: Rolls simulation close to reality - 09/02/21 09:11
Already possible. First find out the swap or roll method used by your broker, then calculate the current value and update the TradeRoll variable in a TMF or trade loop.
Posted By: Zheka
Re: Rolls simulation close to reality - 09/02/21 09:26
The problem is not with exact amounts.
The problem is identifying which trades will be subjected to rolling costs.
Zorro currently applies rolls to trades longer than 12-hours, - and that's what I suggest to improve.
I suggest to implement a "close-to-reality" mechanism, where rolls are charged on trades open at 17:00ET, and 3x on Wed (which is the industry norm), - regardless of their duration and as many times as needed.
Posted By: Zheka
Re: Rolls simulation close to reality - 09/02/21 09:37
Thank you for the suggestion. This would work.
Still, would be great to have it right "out-of-the-box".
Posted By: Zheka
Re: Rolls simulation close to reality - 09/02/21 14:40
1) When setting TradeRoll manually, should it be set in Account currency or Quote currency ?
Is this correct: TradeRoll+= 0.3*PIP *TradeLots*LotAmount*PIPCost ? (assuming a rollover of 0.3PIP either way)
2) When will TradeProfit reflect changes in TradeRoll? After run() i guess?